On-line change-point detection (for stat
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Martin Daumer; Markus Falk
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Article
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1998
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Elsevier Science
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English
β 650 KB
In this Paper we show how to use an on-line algorithm based on a multi-process-Kalman-filterextending ideas described in Whittaker and FrΓΌhwirth-Sehnatter (J. Whittaker, FrΓΌhwirth-Sehnatter, Appl. Stat. 43 (4) (1994)) -to detect sequential Change-Points in noisy time series. We focus on types of Cha